Asymptotics for the First Passage Times of Lévy Processes and Random Walks

DOI10.1239/jap/1363784425zbMath1264.60031arXiv0712.0728MaRDI QIDQ4918563

Denis Denisov, Vsevolod Shneer

Publication date: 25 April 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.0728

zbMATH Keywords

large deviation; random walk; first passage time; Lévy process; busy period; single-server queue; subexponential distribution

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G50: Sums of independent random variables; random walks

60K25: Queueing theory (aspects of probability theory)

Related Items

First-passage time asymptotics over moving boundaries for random walk bridges, Tail asymptotics for the area under the excursion of a random walk with heavy-tailed increments, Asymptotics for exponential functionals of random walks, The first passage time problem over a moving boundary for asymptotically stable Lévy processes, Global and local asymptotics for the busy period of an M/G/1 queue, Asymptotic results for heavy-tailed Lévy processes and their exponential functionals, On busy periods of the critical GI/G/1 queue and BRAVO, The boundary of random planar maps via looptrees

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